01525cam a22002297 4500001000600000003000500006005001700011008004100028100002400069245014600093260006600239490004100305500001700346520057200363530006100935538007200996538003601068710004201104830007601146856003701222856003601259w2367NBER20161209215506.0161209s1987 mau||||fs|||| 000 0 eng d1 aFrankel, Jeffrey A.10aRecent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premiumh[electronic resource] /cJeffrey A. Frankel. aCambridge, Mass.bNational Bureau of Economic Researchc1987.1 aNBER working paper seriesvno. w2367 aAugust 1987.3 aThe optimal-diversification model of investors' portfolio behavior can give a linear relationship between the exchange risk premium and the conditional exchange rate variance. This note surveys recent empirical work that allows for the conditional variance itself, and therefore the risk premium, to vary over time. In particular, it examines the implications of recent empirical estimates for earlier arguments, based on the assumption that the conditional variance was constant over time, that the exchange risk premium had to be small in magnitude and variability. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w2367.4 uhttp://www.nber.org/papers/w236741uhttp://dx.doi.org/10.3386/w2367